| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 24.0% | 69.0% |
| Cumulative Return | 8,806.57% | 11,416.49% |
| CAGR% | 9.45% | 10.01% |
| Sharpe | 0.9 | 0.48 |
| Sortino | 1.37 | 0.68 |
| Max Drawdown | -17.89% | -77.93% |
| Longest DD Days | 1060 | 5519 |
| Volatility (ann.) | 7.22% | 16.52% |
| R^2 | 0.0 | 0.0 |
| Calmar | 0.53 | 0.13 |
| Skew | 0.58 | -0.14 |
| Kurtosis | 29.35 | 16.39 |
| Expected Daily % | 0.02% | 0.03% |
| Expected Monthly % | 0.75% | 0.8% |
| Expected Yearly % | 9.39% | 9.96% |
| Kelly Criterion | 12.45% | -0.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.72% | -1.68% |
| Expected Shortfall (cVaR) | -0.72% | -1.68% |
| Payoff Ratio | 0.93 | 0.78 |
| Profit Factor | 1.39 | 1.12 |
| Common Sense Ratio | 2.16 | 1.04 |
| CPC Index | 0.75 | 0.49 |
| Tail Ratio | 1.55 | 0.93 |
| Outlier Win Ratio | 22.86 | 5.42 |
| Outlier Loss Ratio | 3.62 | 2.71 |
| MTD | 6.59% | 3.12% |
| 3M | 3.62% | 9.65% |
| 6M | 2.55% | 33.14% |
| YTD | 15.77% | 28.35% |
| 1Y | 18.52% | 42.36% |
| 3Y (ann.) | 10.53% | 20.34% |
| 5Y (ann.) | 10.6% | 18.59% |
| 10Y (ann.) | 9.64% | 16.79% |
| All-time (ann.) | 9.45% | 10.01% |
| Best Day | 8.12% | 14.17% |
| Worst Day | -5.55% | -12.32% |
| Best Month | 13.67% | 21.98% |
| Worst Month | -7.04% | -27.23% |
| Best Year | 48.52% | 85.59% |
| Worst Year | -11.18% | -40.54% |
| Avg. Drawdown | -1.85% | -3.17% |
| Avg. Drawdown Days | 51 | 50 |
| Recovery Factor | 492.15 | 146.49 |
| Ulcer Index | 1.0 | 1.01 |
| Avg. Up Month | 3.04% | 5.16% |
| Avg. Down Month | -2.14% | -3.99% |
| Win Days % | 57.71% | 56.01% |
| Win Month % | 64.18% | 59.63% |
| Win Quarter % | 67.71% | 67.5% |
| Win Year % | 78.0% | 74.0% |
| Beta | 0.02 | - |
| Alpha | 0.06 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1971 | 14.12 | 7.30 | 0.52 | - |
| 1972 | 17.18 | 4.31 | 0.25 | - |
| 1973 | -31.06 | 2.62 | -0.08 | + |
| 1974 | -35.11 | -0.29 | 0.01 | + |
| 1975 | 29.76 | 4.75 | 0.16 | - |
| 1976 | 26.10 | 11.81 | 0.45 | - |
| 1977 | 7.33 | 2.90 | 0.40 | - |
| 1978 | 12.31 | 19.75 | 1.60 | + |
| 1979 | 28.11 | 19.64 | 0.70 | - |
| 1980 | 33.88 | 39.15 | 1.16 | + |
| 1981 | -3.21 | -11.18 | 3.48 | - |
| 1982 | 18.67 | 24.15 | 1.29 | + |
| 1983 | 19.87 | 5.62 | 0.28 | - |
| 1984 | -11.31 | -0.88 | 0.08 | + |
| 1985 | 31.49 | 18.33 | 0.58 | - |
| 1986 | 7.36 | -0.03 | -0.00 | - |
| 1987 | -5.25 | 15.81 | -3.01 | + |
| 1988 | 15.40 | 1.36 | 0.09 | - |
| 1989 | 19.24 | -1.03 | -0.05 | - |
| 1990 | -17.81 | 10.93 | -0.61 | + |
| 1991 | 56.86 | 48.52 | 0.85 | - |
| 1992 | 15.45 | 9.65 | 0.62 | - |
| 1993 | 14.75 | 3.02 | 0.20 | - |
| 1994 | -3.20 | -1.74 | 0.54 | + |
| 1995 | 39.92 | -0.51 | -0.01 | - |
| 1996 | 22.71 | 11.81 | 0.52 | - |
| 1997 | 21.64 | 14.07 | 0.65 | - |
| 1998 | 39.63 | 14.63 | 0.37 | - |
| 1999 | 85.59 | 41.13 | 0.48 | - |
| 2000 | -39.29 | 3.13 | -0.08 | + |
| 2001 | -21.05 | 10.42 | -0.49 | + |
| 2002 | -31.53 | -1.15 | 0.04 | + |
| 2003 | 50.01 | 17.57 | 0.35 | - |
| 2004 | 8.59 | 11.86 | 1.38 | + |
| 2005 | 1.37 | -1.41 | -1.03 | - |
| 2006 | 9.52 | 2.43 | 0.26 | - |
| 2007 | 9.81 | 6.51 | 0.66 | - |
| 2008 | -40.54 | -5.85 | 0.14 | + |
| 2009 | 43.89 | 31.65 | 0.72 | - |
| 2010 | 16.91 | 12.73 | 0.75 | - |
| 2011 | -1.80 | -3.75 | 2.08 | - |
| 2012 | 15.91 | 16.10 | 1.01 | + |
| 2013 | 38.32 | 13.73 | 0.36 | - |
| 2014 | 13.40 | 8.65 | 0.65 | - |
| 2015 | 5.73 | 7.37 | 1.29 | + |
| 2016 | 7.50 | 11.94 | 1.59 | + |
| 2017 | 28.24 | 8.90 | 0.32 | - |
| 2018 | -3.88 | 3.91 | -1.01 | + |
| 2019 | 35.23 | 12.37 | 0.35 | - |
| 2020 | 28.35 | 15.77 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2001-06-12 | 2003-08-22 | -17.89 | 801 |
| 2007-12-12 | 2009-07-16 | -17.75 | 582 |
| 1980-11-25 | 1982-10-21 | -17.73 | 695 |
| 2011-11-10 | 2012-02-14 | -12.69 | 96 |
| 1993-10-19 | 1996-09-13 | -11.66 | 1060 |
| 1992-01-17 | 1992-11-11 | -11.23 | 299 |
| 1997-08-22 | 1998-02-26 | -10.75 | 188 |
| 2004-01-28 | 2004-11-05 | -10.45 | 282 |
| 2004-12-17 | 2005-08-02 | -8.88 | 228 |
| 2010-04-27 | 2011-01-04 | -8.64 | 252 |